Integrated Brownian motion, conditioned to be positive

DOI10.1214/aop/1022677447zbMath0983.60078OpenAlexW2106007551MaRDI QIDQ1568286

Jon A. Wellner, Piet Groeneboom, Geurt Jongbloed

Publication date: 21 June 2000

Published in: The Annals of Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1214/aop/1022677447

zbMATH Keywords

stochastic differential equationsconditioninghitting timesconfluent hypergeometric functionsintegrated Brownian motionKolmogorov diffusion

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Brownian motion (60J65) Stopping times; optimal stopping problems; gambling theory (60G40)

Related Items

Quadratic functionals and small ball probabilities for the \(m\)-fold integrated Brownian motion ⋮ Invariance principles for integrated random walks conditioned to stay positive ⋮ Universality of the asymptotics of the one-sided exit problem for integrated processes ⋮ Persistence and exit times for some additive functionals of skew Bessel processes ⋮ Exit times for integrated random walks ⋮ A stable Langevin model with diffusive-reflective boundary conditions ⋮ Some limiting laws associated with the integrated Brownian motion ⋮ Coupling the Kolmogorov diffusion: maximality and efficiency considerations ⋮ Persistence Probabilities and Exponents ⋮ On universality in penalisation problems with multiplicative weights ⋮ A canonical process for estimation of convex functions: the ``invelope of integrated Brownian motion \(+t^ 4\).

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